Timeclusterring of stock indicies’ big fall

Kazaryan A.M., Shapoval A.B.
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The paper estimates the recurrence rate of stock indicies S&P100, CAC40, DAX, FTSE, AMEX, ATX, NASDAQ, BEL20. The introduced qunatitative measure of the recurrence rate underlies type I and type II errors. We show that more than three quarters of the indicies’ falls occur on average during the first quarter of the time between them. This result expands from sufficiently large falls, which are observed on average two times a year, over smaller falls, which occur approximately once 1.5–2 months.

Keywords: interevent distribution, errors of the first and second kind
Citation in English: Kazaryan A.M., Shapoval A.B. Timeclusterring of stock indicies’ big fall // Computer Research and Modeling, 2012, vol. 4, no. 3, pp. 631-638
Citation in English: Kazaryan A.M., Shapoval A.B. Timeclusterring of stock indicies’ big fall // Computer Research and Modeling, 2012, vol. 4, no. 3, pp. 631-638
DOI: 10.20537/2076-7633-2012-4-3-631-638
URL: http://crm-en.ics.org.ru/journal/article/1931/
Creative Commons License This work is licensed under a Creative Commons Attribution-NoDerivs 3.0 Unported License.
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